Second-order approximation of dynamic models without the use of tensors
Second-order approximation of dynamic models without the use of tensors
Several approaches to finding the second-order approximation to a dynamic model have been proposed recently. This paper differs from the existing literature in that it makes use of the Magnus and Neudecker (1999) definition of the Hessian matrix. The key result is a linear system of equations that characterizes the second-order coefficients. No use is made of multi-dimensional arrays or tensors, a practical implication of which is that it is much easier to transcribe the mathematical representation of the solution into usable computer code. Matlab code is available from http://paulklein.se/newsite/codes/codes.php; Fortran 90 code is available from http://alcor.concordia.ca/pgomme/.
solving dynamic models, second-order approximation
604-615
Gomme, Paul
aa435fbe-3361-4ea3-b533-b0a4ecf01252
Klein, Paul
feea4bea-ca95-41ce-b72c-92b7d05247b1
April 2011
Gomme, Paul
aa435fbe-3361-4ea3-b533-b0a4ecf01252
Klein, Paul
feea4bea-ca95-41ce-b72c-92b7d05247b1
Gomme, Paul and Klein, Paul
(2011)
Second-order approximation of dynamic models without the use of tensors.
Journal of Economic Dynamics and Control, 35 (4), .
(doi:10.1016/j.jedc.2010.10.006).
Abstract
Several approaches to finding the second-order approximation to a dynamic model have been proposed recently. This paper differs from the existing literature in that it makes use of the Magnus and Neudecker (1999) definition of the Hessian matrix. The key result is a linear system of equations that characterizes the second-order coefficients. No use is made of multi-dimensional arrays or tensors, a practical implication of which is that it is much easier to transcribe the mathematical representation of the solution into usable computer code. Matlab code is available from http://paulklein.se/newsite/codes/codes.php; Fortran 90 code is available from http://alcor.concordia.ca/pgomme/.
This record has no associated files available for download.
More information
Published date: April 2011
Keywords:
solving dynamic models, second-order approximation
Organisations:
Economics
Identifiers
Local EPrints ID: 174063
URI: http://eprints.soton.ac.uk/id/eprint/174063
ISSN: 0165-1889
PURE UUID: 4c359827-8497-428a-9e9f-9b1dfb6d0d33
Catalogue record
Date deposited: 10 Feb 2011 11:17
Last modified: 14 Mar 2024 02:32
Export record
Altmetrics
Contributors
Author:
Paul Gomme
Author:
Paul Klein
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics